Inhomogeneous exponential jump model

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Exponential Decay Towards Equilibrium for the Inhomogeneous Aizenman-Bak Model

The Aizenman-Bak model for reacting polymers is considered for spatially inhomogeneous situations in which they diffuse in space with a nondegenerate size-dependent coefficient. Both the break-up and the coalescence of polymers are taken into account with fragmentation and coagulation constant kernels. We demonstrate that the entropy-entropy dissipation method applies directly in this inhomogen...

متن کامل

Option Pricing Under a Double Exponential Jump Diffusion Model

Analytical tractability is one of the challenges faced by many alternative models that try to generalize the Black-Scholes option pricing model to incorporate more empirical features. The aim of this paper is to extend the analytical tractability of the BlackScholes model to alternative models with jumps. We demonstrate a double exponential jump diffusion model can lead to an analytic approxima...

متن کامل

Option Pricing Under a Mixed-Exponential Jump Diffusion Model

This paper aims at extending the analytical tractability of the Black-Scholes model to alternative models with arbitrary jump size distributions. More precisely, we propose a jump diffusion model for asset prices whose jump sizes have a mixed-exponential distribution, which is a weighted average of exponential distributions but with possibly negative weights. The new model extends existing mode...

متن کامل

Pricing Asian Options Under a Hyper-Exponential Jump Diffusion Model

We obtain a closed-form solution for the double-Laplace transform of Asian options under the hyper-exponential jump diffusion model (HEM). Similar results are only available previously in the special case of the Black-Scholes model (BSM). Even in the case of the BSM, our approach is simpler as we essentially use only Itô’s formula and do not need more advanced results such as those of Bessel pr...

متن کامل

Deviation Inequalities for Exponential Jump-diffusion Processes

In this note we obtain deviation inequalities for the law of exponential jump-diffusion processes at a fixed time. Our method relies on convex concentration inequalities obtained by forward/backward stochastic calculus. In the pure jump and pure diffusion cases, it also improves on classical results obtained by direct application of Gaussian and Poisson bounds.

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Probability Theory and Related Fields

سال: 2017

ISSN: 0178-8051,1432-2064

DOI: 10.1007/s00440-017-0810-0